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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - In: Annals of financial economics 17 (2022) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10013189116

Did equity returns and volatilities change after the 2016 Trump election victory?

Yavas, Burhan F.; Dedi, Lidija; Škrinjarić, Tihana - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1291-1308

Persistent link: https://www.econbiz.de/10012815045

To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets

Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010193320

Asymmetric return and volatility transmission in conventional and Islamic equities

Umar, Zaghum; Suleman, Tahir - In: Risks : open access journal 5 (2017) 2, pp. 1-18

asymmetric effect of return and volatility transmission. We empirically investigate the decoupling hypothesis of Islamic and …

Persistent link: https://www.econbiz.de/10011643393

Volatility spillovers among global stock markets : measuring total and directional effects

Gamba-Santamaria, Santiago; Gómez González, José Eduardo - 2017

Persistent link: https://www.econbiz.de/10011650412

Asymmetric causality in-mean and in-variance among equity markets indexes

González Sánchez, Mariano - In: The North American journal of economics and finance : a … 36 (2016), pp. 49-68

Persistent link: https://www.econbiz.de/10011672599

Volatility spillovers and linkages in Asian stock markets

Chow, Hwee-kwan - In: Emerging markets finance & trade : a journal of the … 53 (2017) 10/11/12, pp. 2770-2781

Persistent link: https://www.econbiz.de/10011833383

Return and volatility spillovers between oil and stock markets in South Africa and Nigeria

Fowowe, Babajide - In: African journal of economic and management studies : AJEMS 8 (2017) 4, pp. 484-497

Persistent link: https://www.econbiz.de/10011813280

Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets

Palanska, Tereza - 2018

We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on …-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to … global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other …

Persistent link: https://www.econbiz.de/10011914776

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855